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- W2511232964 abstract "This paper presents a new asymptotic expansion method for pricing continuously monitoring barrier options. In particular, we develops a semi-group expansion scheme for the Cauchy-Dirichlet problem in the second-order parabolic partial differential equations (PDEs) arising in barrier option pricing. As an application, we propose a concrete approximation formula under a stochastic volatility model and demonstrate its validity by some numerical experiments." @default.
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- W2511232964 date "2012-01-01" @default.
- W2511232964 modified "2023-10-02" @default.
- W2511232964 title "A Semi-group Expansion for Pricing Barrier Options" @default.
- W2511232964 hasPublicationYear "2012" @default.
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